Personnel from the Jefferson County Sheriff's Office also responded to the park and performed life-saving measures on a male who eventually died at the scene, according to police. That person was hospitalized with non-life-threatening injuries.
No information about arrests, possible suspects and the victims' identities and ages was immediately released.
In a video of the shooting shown during the news conference, the suspect was surrounded by several people before shots were fired and people scrambled for cover. The footage later showed at least one person injured on the ground.
Louisville Metro Police Department vehicles block off the scene of the shooting on Saturday
It remains unclear whether the gunman was among the group of protesters and the shooting came as a result of an internal conflict between those occupying Jefferson Square Park or if the shooter was an outsider who came to disrupt otherwise peaceful demonstrations.
It was unclear if there was more than one shooter and authorities have yet to release any details of the victims. "Witness videos allege a man was asked to leave the memorial and protest space then came back with a gun and started shooting into the crowd". We continue to support the peaceful exercise of free speech.
Police said they were called to the rally at the Jefferson Square Park in the center of Louisville - Kentucky's largest city - at about 9.00 p.m. (0100 GMT/UTC).
"It is a tragedy that this area of peaceful protest is now a crime scene", he added. Seven people were wounded May 28 when gunfire erupted near city hall, prompting Taylor's mother to issue a statement asking people to demand justice "without hurting each other".
Her death in March helped fuel a campaign against racism and police brutality in the United States that has since spread across the globe.
Taylor was a 26-year-old Black woman who was killed in her Louisville home in March by police who were serving a no-knock warrant. "I thought they were fireworks", she said.